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水瓶公主 · 2023年03月06日

to x is

NO.PZ2020020601000034

问题如下:

X, Y, and Z have entered into many derivative transactions. When transactions between X and Y are netted, the net value to X is 60. When transactions between Y and Z are netted, the net value to Y is 70. When transactions between Z and X are netted, the net value to Z is 80. Suppose that all transactions are cleared through a CCP rather than bilaterally. What is the net position of X, Y, and Z?

解释:

When they are cleared centrally, they net to -20 for X, +10 to Y, and +10 to Z.

to x is 80意思是x支付80买了东西


1 个答案

李坏_品职助教 · 2023年03月06日

嗨,努力学习的PZer你好:


这道题的意思是X,Y和Z这三个人相互之间做了很多交易。当X和Y进行净额结算的时候,X手里的合约净现值为60,。当Y和Z净额结算的时候,Y手里面合约的净现值是70。当Z和X净额结算时,Z的净现值是80。


可以理解为:X向Y买入了60,Y向Z买入了70,Z向X买入了80。如果引入了CCP(中央结算方,就是净额轧差结算),可以理解成X先买入了60,又卖出了80,所以就是-20



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